ABROWNFOX001

Posted on Sep 15

TWAP60 Logs or You Are Guessing

GitHub: https://github.com/abrownfox0/abrownfox001-twap60-prediction-trigger-system

YouTube walkthrough: https://www.youtube.com/watch?v=XzhugRL6BV4

Live profile: https://polymarket.com/@abrownfox001

Part 1 said the 5-minute bot now lives in a different venue.

Part 2 is settlement hygiene. After August, “we use TWAP” is not a patch. A slot log that cannot show which TWAP was used is still a snapshot bot with better marketing.

1. The Paid Variable Is Not Optional

Live 5-minute crypto Up/Down settles on 60-second Chainlink TWAP.

Field	Required source
Price-to-beat	60s TWAP at slot open
Live path	latest 60s TWAP
Research labels	official close / gamma fallback
Disallowed substitute	CEX last, homemade one-exchange average, leftover 30s window

60 seconds is a lookback.

RTDS can update more often than once a minute.

The number inside the update is still the trailing average.

If twap_open and twap_now are different families, the bot is trading a market Polymarket does not list.

2. The Minimum Slot Record

Every btc-updown-5m-* decision should write:

slot_id
market_slug
twap_window_s      # 60
twap_open
twap_open_ts
twap_now
twap_now_ts
feed_age_ms
t_left
side
ask
fill
resolution_src      # rtds_twap | gamma | unresolved

No feed_age_ms means you cannot prove freshness.

No resolution_src means you cannot prove the label.

No twap_open means you cannot prove the strike.

twapFeed.ts is the ingest. The log is the audit.

3. The Hygiene Failures That Still Show Up

Bug	What it looks like later
Pin open from Binance mid	Fake mid-slot edge
Score 60s live, label on CEX close	Backtest lies
Keep 30s open on post-Aug-14 5m markets	Silent window mix
Treat websocket heartbeat as a price	Stale path, live orders
Recompute TWAP yourself from one venue	Basis error vs Chainlink
Drop the slot clock and reuse yesterday’s open	Wrong reference entirely

These bugs survive code review because the bot still “places orders.”

They die in a slot log.

4. Freshness Is a Hard Fail

RTDS being connected is not the same as the official series being current.

Rule I want in production:

if feed_age_ms > max_stale:
    do not enter
    do not scratch on a guessed path
    wait or skip the slot

Gamma is the post-resolution fallback.

It is not a live TWAP stand-in while the socket flaps.

September CLOB/read incidents are why this rule exists. A green UI can still be behind.

5. What to Compare After You Have Logs

Once the fields exist, the useful research is small:

how often CEX last disagrees with official TWAP at resolution
how often a 30s leftover would have flipped the label
how much P(up) moves when feed age is high
whether scratches happened on stale path data

If you cannot compute those four, you are not studying TWAP60. You are studying your local mid.

6. Expected Tech Change on This Layer

Not a new strategy. A lock on the target:

60s only for new 5m slots
same-series open pin
stale-data halt
resolution_src on every completed market
keep CEX in cexFeed.ts as lead-lag, never as the paid variable

The private signal can stay closed.

The pin and the log cannot.

7. How This Shows Up on the Public Account

An outsider still cannot see twap_open.

They can see whether behavior still matches a path engine:

mid-slot buys, not only close-bell size
mid-band prices
later sells than buys
BTC 5m concentration

If the activity tab turns into last-second bursts, the settlement story and the fills have diverged.

8. What Part 3 Covers

After the official series is pinned, the next regime cost is matching:

150ms taker delay
volume-tier quotas
fill quality versus quoted 50¢

Settlement hygiene tells you what you traded.

Part 3 tells you whether the venue still lets you trade it cleanly.

Links

Repo: https://github.com/abrownfox0/abrownfox001-twap60-prediction-trigger-system
Video: https://www.youtube.com/watch?v=XzhugRL6BV4
Live activity: https://polymarket.com/@abrownfox001?tab=activity

Not financial advice. Confirm the live market’s resolution source before you trade it.

If you have more questions, please feel free to contact me at any time: https://t.me/abrownfox001

My Polymarket Activity: https://polymarket.com/@abrownfox001?tab=activity

#Polymarket #TWAP #Chainlink #BTC #TradingBot #AlgoTrading #PredictionMarkets

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